In this tutorial you will learn the basics of animating a robotic arm using Link constraints. The Link constraint causes an object to inherit the position, rotation, and scale of its target object.
You can start by downloading this scene already created for you. I won't go into modeling in this tutorial, but all geometry has intact modeling stack (Max version 9) so you can get an idea about how it was created.
Before linking and animation you need to set the pivot points right. In this case all pieces have the pivot points in the correct position (usually the joint to the linked object) except for one for tutorial purposes. Select the piece highlighted in the image above. Go to the Hierarchy panel and, under Adjust Pivot rollout, hit Affect Pivot Only. Then move the pivot down until it fits the joint to the object below (about 140 on the Z axis). Get out of pivot editing mode by going to the Modify panel. You'd have to do this for each piece of your robotic arm, but the downloaded scene already has all other pivots set in the right place.